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Affine Diffusions and Related Processes: Simulation, Theory and Applications

Affine Diffusions and Related Processes: Simulation, Theory and Applications

by Aurelien Alfonsi
Paperback
Publication Date: 17/10/2016

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This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error. It also presents some models, mostly in the field of finance, where these methods are relevant and provides some numerical experiments.



The book explains the mathematical background to understand affine diffusions and analyze the accuracy of the schemes.
ISBN:
9783319382548
9783319382548
Category:
Applied mathematics
Format:
Paperback
Publication Date:
17-10-2016
Publisher:
Springer International Publishing AG
Country of origin:
Switzerland
Pages:
252
Dimensions (mm):
235x155x14mm
Weight:
4.1kg

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